If you don't smell gas and it won't light, then it isn't gas. It's air.
You've got air in your gas line, I'd guess.
Press that button down and keep trying to light it. Eventually, you should actually hear the "note" the air is making shift slightly when the natural gas hits the pilot orifice. You'll also smell gas. At first, the pilot may try to burn but not stay lit if you remove your flame. Then, it will finally stay lit. Continue to hold the pilot button in for another 30 seconds or so. This will cause the thermocouple to heat up and generate a small current, telling the gas valve that the pilot is "on". Let out the pilot button and the pilot will stay lit. Rotate the knob to "on" and your heater should now operate normally.
Also...carefully check your piping with soapy water to make sure you don't have a gas leak. That air in your lines came from somewhere. If there's no gas pressure on a line with a leak, the air can get in. If there is gas pressure on a line with a leak...the gas will leak out.
If this is a new installation, then you didn't bleed your new gas line of air properly and it will take A LONG time to bleed it all out through the pilot.
Phil
p.s. Another thought I had...if you are unfamilier with this heater, you may not be trying to light it in the right place. You should see a pilot tube coming out near the thermocouple. Gas doesn't come out of the thermocouple. The thermocuple doesn't have to be hot to light the pilot. It DOES have to be hot for the pilot to stay lit after you let off the "pilot" button...which is essentially a manual override to let gas through the pilot so you can light it while the t/c is cold.